If comparing one standard energy saver bulb (CFL) to an LED bulb, then the LED bulb will be roughly twice as efficient, however both are way more efficient than halogen and incandescent.
I have CFL, LED and halogen in my home at the moment and while yes a single LED GU10 bulb is more efficient than a single CFL bulb, you'll need at least 4 GU10 LED bulbs to light a room where one CFL bulb would have been adequate before due to the difference in beam angles and max light output. Hence you need to take into account the number of bulbs you'd require for a given room when calculating efficiency/cost savings.
CFL and LED bulbs have very different characteristics also. LED bulbs, like halogen and incandescent bulbs, achieve pretty much 100% brightness instantly but the best standard fit CFL bulbs I've come across can only manage about 70% brightness after 1 second and 100% brightness after a minute or so. LED bulbs (at least on paper anyway) have a longer life than CFL and can handle more on/off cycles.
Also, where a 360 degree (or close to) beam angle is required, such as in a table lamp, LED just isn't practical right now.